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Weak Start To The Year, US Tsy Futures Weigh

AUSSIE BONDS

ACGBs (YM -5.0 & XM -6.0) sit weaker, hovering near the lows observed during the Sydney session. In the absence of significant domestic events today, local market participants are relying on US tsy futures as a directional indicator. Notably, US tsy 10-year futures are trading at -0-12+, standing at 112-16, having weakened ahead of the New Year's long weekend.

  • Cash ACGBs are 5-6bps cheaper, with the AU-US 10-year yield differential 3bps wider at +14bps. It is important to note however that cash US tsys have not been trading in today's Asia-Pac session due to a public holiday in Japan.
  • The swaps curve has bear-steepened, with rates 3-6bps higher. EFPs are 1-2bps tighter.
  • The bills strip has bear-steepened, with pricing -3 to -6.
  • RBA-dated OIS pricing is 1-5bps firmer across meetings, with November leading.
  • Tomorrow, the local calendar sees Judo Bank Composite and Services PMIs.
  • Later today, the US calendar sees S&P Global US Manufacturing PMI (Dec F) and November Construction Spending. ISM Manufacturing is due on Wednesday.
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